Agostino Capponi
Publications
Networks, Systemic Risk, Financial Stability
Fintech and Market Microstructure
Machine Learning and AI in Finance
Counterparty Risk and Derivatives Pricing
Portfolio Selection and Stochastic Control
Book Chapters, Practitioner and Policy Papers
Old Work
Books
Students
Teaching
Grants/Awards
Software
Awards and Funding
Awards
NSF CAREER-1752326
: Systemic Risk and Strategic Formation in Stochastic Networks
JP Morgan AI Research Faculty Award
Columbia-IBM Center for Blockchain & Data Transparency Research Award
SIFI Context
: Honorable Mention
Bar Ilan prize
for Research in Financial Mathematics
Government Grants
U.S. Department of Energy’s Advanced Research Projects Agency-Energy (ARPA-E)
: Risk-Aware Power System Control, Dispatch and Market Incentives
NSF DMS-1716145
: Mathematics and Control of Systemic and High-Frequency Trading Risks
DARPA SIMPLEX program
: A Mathematical Framework for Complex Human-Machine Interaction Systems
Private Grants
Ripple University Blockchain Research Initiative
: Automated Market Makers and Liquidity
Stellar Blockchain
: Sharding and Efficiency in Blockchain Networks
Ethereum Foundation
: MEV Supply Chain
Institute for New Economic Thinking
: Dynamic Contagion Mechanisms in Financial Networks
Global Risk Institute:
Central Clearing House Risk
Clearpool group:
Market Impact Modeling on Active/Aggressive Trading and Passive Limit Order Placement
OCP Group
: Capacity Allocation in a Phosphate Market (joint with G. Iyengar and J. Sethuraman)
Global Risk Institute
: Mortgage Forbearance, Loan Performance, and Implications for Security Markets.